I agree, I would expect modals to close when I click in the grey background. It's always annoying if sites don't support that, because aiming for the close button is usually harder, especially on touch devices.
There are exceptions, though. For example, critical warnings should not be dismissible by touching the background. In that case it is okay to raise attention to the message this way, as it cannot be closed as easily. Also, if a modal is a form, it would be too easy to close it accidentally by touching the background. I think in that case Moodle should also keep on relying on the close button (or buttons of the form).